start_date:2010-01-01 / end_date:2022-12-31
| skew | adjskew | distance | mom6x3 | mom9x3 | mom12x3 | mom1M | mom2M | mom3M | mom6M | turnover3M | amount3M | stddev_diff | stddev | ep | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0167 | -0.0108 | -0.0315 | 0.0220 | 0.0543 | 0.0800 | -0.0053 | -0.0333 | -0.0355 | -0.0108 | -0.0370 | -0.0125 | -0.0023 | -0.0309 | 0.0104 |
| ic.t-stats | -0.8552 | -0.5293 | -1.3049 | 0.9318 | 2.3307 | 3.3243 | -0.2205 | -1.3546 | -1.4890 | -0.4563 | -1.4033 | -0.6221 | -0.1152 | -1.1900 | 0.3742 |
| AnnRet_Long | -0.0396 | -0.0444 | -0.0153 | 0.0142 | 0.0689 | 0.0895 | 0.0038 | -0.0345 | -0.0278 | -0.0126 | -0.0358 | -0.0110 | 0.0062 | -0.0437 | -0.0003 |
| AnnRet_short | 0.0305 | 0.0391 | 0.0298 | -0.0223 | -0.0660 | -0.0698 | -0.0013 | 0.0106 | 0.0014 | -0.0239 | -0.0243 | 0.0353 | 0.0146 | -0.0192 | -0.0454 |
| AnnRet | -0.0700 | -0.0835 | -0.0451 | 0.0366 | 0.1349 | 0.1593 | 0.0051 | -0.0450 | -0.0292 | 0.0113 | -0.0115 | -0.0463 | -0.0085 | -0.0245 | 0.0451 |
| SR_Long | -0.3247 | -0.3469 | -0.1153 | 0.1061 | 0.4718 | 0.6050 | 0.0245 | -0.2404 | -0.2086 | -0.0943 | -0.2610 | -0.0831 | 0.0472 | -0.2894 | -0.0017 |
| SR_Short | 0.2862 | 0.3725 | 0.2189 | -0.1799 | -0.5592 | -0.6323 | -0.0118 | 0.0986 | 0.0123 | -0.2220 | -0.1781 | 0.3446 | 0.1404 | -0.1528 | -0.4060 |
| SR | -0.3762 | -0.4414 | -0.1983 | 0.1687 | 0.6226 | 0.7719 | 0.0225 | -0.2095 | -0.1395 | 0.0576 | -0.0480 | -0.2412 | -0.0453 | -0.1016 | 0.1975 |
| TO_Long | 0.8559 | 0.8516 | 0.4194 | 0.5742 | 0.4774 | 0.4538 | 0.8409 | 0.6817 | 0.5634 | 0.4387 | 0.3161 | 0.1914 | 0.9183 | 0.6581 | 0.1699 |
| TO_Short | 0.8091 | 0.8371 | 0.4296 | 0.5312 | 0.4231 | 0.3339 | 0.8409 | 0.6801 | 0.5656 | 0.4199 | 0.2237 | 0.2790 | 0.8984 | 0.4667 | 0.2715 |
start_date:2010-01-01 / end_date:2022-12-31
| skew | adjskew | distance | mom6x3 | mom9x3 | mom12x3 | mom1M | mom2M | mom3M | mom6M | turnover3M | amount3M | stddev_diff | stddev | ep | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | 0.0002 | 0.0047 | -0.0345 | 0.0132 | 0.0435 | 0.0763 | 0.0095 | -0.0164 | -0.0055 | 0.0114 | 0.0006 | -0.0310 | -0.0071 | 0.0022 | -0.0218 |
| ic.t-stats | 0.0099 | 0.2569 | -1.4527 | 0.5549 | 1.7792 | 3.0645 | 0.4112 | -0.6647 | -0.2264 | 0.4745 | 0.0194 | -1.4439 | -0.3485 | 0.0804 | -0.7881 |
| AnnRet_Long | -0.0240 | -0.0339 | -0.0609 | -0.0073 | 0.0680 | 0.0793 | -0.0081 | -0.0025 | 0.0060 | -0.0275 | 0.0244 | -0.0181 | 0.0437 | -0.0214 | -0.0222 |
| AnnRet_short | -0.0164 | -0.0373 | 0.0171 | -0.0215 | -0.0643 | -0.0879 | -0.0487 | -0.0104 | -0.0500 | -0.0544 | -0.0873 | 0.0401 | 0.0259 | -0.0667 | -0.0193 |
| AnnRet | -0.0076 | 0.0034 | -0.0779 | 0.0142 | 0.1323 | 0.1671 | 0.0406 | 0.0079 | 0.0560 | 0.0269 | 0.1117 | -0.0582 | 0.0178 | 0.0453 | -0.0029 |
| SR_Long | -0.1972 | -0.2713 | -0.4216 | -0.0460 | 0.4222 | 0.4931 | -0.0459 | -0.0136 | 0.0338 | -0.1582 | 0.1300 | -0.1088 | 0.2723 | -0.1104 | -0.1413 |
| SR_Short | -0.1519 | -0.3588 | 0.1170 | -0.1875 | -0.5611 | -0.7419 | -0.4222 | -0.0819 | -0.4087 | -0.4180 | -0.5803 | 0.3262 | 0.2161 | -0.4979 | -0.1365 |
| SR | -0.0424 | 0.0184 | -0.3101 | 0.0609 | 0.5678 | 0.6823 | 0.1596 | 0.0293 | 0.2240 | 0.1055 | 0.3674 | -0.2419 | 0.0897 | 0.1605 | -0.0113 |
| TO_Long | 0.8430 | 0.8387 | 0.3677 | 0.5376 | 0.4452 | 0.3677 | 0.8710 | 0.6602 | 0.5505 | 0.4194 | 0.2409 | 0.1699 | 0.9333 | 0.6366 | 0.1441 |
| TO_Short | 0.8290 | 0.8258 | 0.3629 | 0.5419 | 0.4065 | 0.3435 | 0.8484 | 0.6919 | 0.5645 | 0.4000 | 0.1097 | 0.2242 | 0.9129 | 0.3323 | 0.2097 |
start_date:2010-01-01 / end_date:2022-12-31
| skew | adjskew | distance | mom6x3 | mom9x3 | mom12x3 | mom1M | mom2M | mom3M | mom6M | turnover3M | amount3M | stddev_diff | stddev | ep | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0174 | -0.0086 | -0.0158 | 0.0130 | 0.0298 | 0.0467 | -0.0341 | -0.0423 | -0.0346 | -0.0168 | -0.0397 | -0.0190 | 0.0085 | -0.0272 | 0.0116 |
| ic.t-stats | -1.5059 | -0.7597 | -0.9915 | 0.8327 | 1.9014 | 2.8606 | -2.1690 | -2.4762 | -2.1830 | -1.0174 | -2.1620 | -1.4523 | 0.7054 | -1.5310 | 0.6438 |
| AnnRet_Long | -0.0113 | -0.0230 | -0.0206 | 0.0304 | 0.0298 | 0.0790 | -0.0624 | -0.0418 | -0.0356 | -0.0328 | -0.0512 | -0.0308 | -0.0079 | -0.0338 | 0.0042 |
| AnnRet_short | 0.0188 | 0.0081 | 0.0310 | -0.0241 | -0.0687 | -0.0738 | 0.0223 | 0.0521 | 0.0435 | 0.0130 | -0.0057 | 0.0561 | -0.0546 | -0.0004 | -0.0019 |
| AnnRet | -0.0301 | -0.0311 | -0.0516 | 0.0544 | 0.0984 | 0.1527 | -0.0848 | -0.0939 | -0.0791 | -0.0458 | -0.0455 | -0.0869 | 0.0466 | -0.0334 | 0.0061 |
| SR_Long | -0.1125 | -0.2260 | -0.1786 | 0.2347 | 0.2196 | 0.5878 | -0.4874 | -0.2922 | -0.2705 | -0.2489 | -0.4269 | -0.2679 | -0.0742 | -0.2527 | 0.0264 |
| SR_Short | 0.1890 | 0.0892 | 0.2135 | -0.2432 | -0.6204 | -0.6598 | 0.1957 | 0.4572 | 0.3941 | 0.1208 | -0.0359 | 0.4977 | -0.5676 | -0.0033 | -0.0169 |
| SR | -0.1847 | -0.2006 | -0.2357 | 0.2755 | 0.4626 | 0.7354 | -0.4176 | -0.4277 | -0.3785 | -0.2186 | -0.1816 | -0.4523 | 0.2817 | -0.1479 | 0.0277 |
| TO_Long | 0.8578 | 0.8570 | 0.4083 | 0.5948 | 0.4714 | 0.4305 | 0.8644 | 0.6896 | 0.5873 | 0.4543 | 0.3560 | 0.2038 | 0.9407 | 0.6672 | 0.1726 |
| TO_Short | 0.8460 | 0.8462 | 0.4985 | 0.6060 | 0.4829 | 0.4223 | 0.8861 | 0.7249 | 0.6298 | 0.4928 | 0.2452 | 0.5072 | 0.9273 | 0.4974 | 0.3196 |
start_date:2010-01-01 / end_date:2022-12-31
| skew | adjskew | distance | mom6x3 | mom9x3 | mom12x3 | mom1M | mom2M | mom3M | mom6M | turnover3M | amount3M | stddev_diff | stddev | ep | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0124 | -0.0024 | -0.0201 | 0.0170 | 0.0333 | 0.0517 | -0.0145 | -0.0257 | -0.0150 | 0.0001 | -0.0131 | -0.0162 | 0.0032 | 0.0014 | 0.0071 |
| ic.t-stats | -1.1331 | -0.2210 | -1.0755 | 1.0154 | 1.9916 | 2.9441 | -0.8905 | -1.4486 | -0.8726 | 0.0041 | -0.6218 | -1.1496 | 0.2646 | 0.0652 | 0.4634 |
| AnnRet_Long | -0.0336 | -0.0189 | -0.0469 | 0.0253 | 0.0419 | 0.0783 | -0.0583 | -0.0476 | -0.0287 | -0.0178 | -0.0284 | -0.0301 | -0.0398 | -0.0282 | -0.0124 |
| AnnRet_short | -0.0212 | -0.0324 | -0.0547 | -0.0325 | -0.0917 | -0.0735 | -0.0190 | 0.0017 | -0.0136 | -0.0251 | -0.0747 | -0.0322 | -0.0186 | -0.0713 | -0.0573 |
| AnnRet | -0.0123 | 0.0135 | 0.0078 | 0.0579 | 0.1336 | 0.1518 | -0.0393 | -0.0493 | -0.0152 | 0.0073 | 0.0463 | 0.0021 | -0.0212 | 0.0431 | 0.0449 |
| SR_Long | -0.3478 | -0.1826 | -0.3769 | 0.1675 | 0.2934 | 0.5708 | -0.4244 | -0.2972 | -0.2013 | -0.1220 | -0.2018 | -0.2173 | -0.3339 | -0.1818 | -0.0746 |
| SR_Short | -0.2350 | -0.3454 | -0.3180 | -0.2815 | -0.7132 | -0.6009 | -0.1500 | 0.0143 | -0.1046 | -0.1862 | -0.4001 | -0.1869 | -0.2092 | -0.3931 | -0.4395 |
| SR | -0.0799 | 0.0857 | 0.0323 | 0.2591 | 0.5850 | 0.6696 | -0.1758 | -0.2060 | -0.0654 | 0.0307 | 0.1642 | 0.0087 | -0.1337 | 0.1461 | 0.2256 |
| TO_Long | 0.8615 | 0.8506 | 0.3583 | 0.5419 | 0.4467 | 0.3985 | 0.8685 | 0.6804 | 0.5658 | 0.4337 | 0.2968 | 0.1588 | 0.9340 | 0.6407 | 0.0978 |
| TO_Short | 0.8355 | 0.8442 | 0.3184 | 0.5770 | 0.4673 | 0.3834 | 0.8733 | 0.7041 | 0.5899 | 0.4604 | 0.2046 | 0.2332 | 0.9143 | 0.2825 | 0.2452 |